Cholodenko is from the San Fernando Valley, and grew up in a liberal Jewish family. Her paternal grandfather emigrated from USSR.
Cholodenko received a BA in anthropology and ethnic studies from San Francisco State University, where she was a teaching assistant for Angela Davis. In the early 1990s, she was an apprentice editor on John Singleton's Boyz n the Hood. She also worked as an assistant editor on Beeban Kidron's Used People, Brett Leonard's The Lawnmower Man, and Gus Van Sant's To Die For. In 1997, Cholodenko received an MFA from Columbia University School of the Arts in screenwriting and directing. While at Columbia, Cholodenko wrote and directed a number of short films, including Souvenir (1994) and Dinner Party (1997), which won the British Film Institute's Channel 4 TX prize and aired on UK, French, and Swiss television.
